need to estimate time-varying delays from paired dates data, current approach is to construct a rolling window for paired date delay data, and then getting cdf over those rolling windows. This is computationally expensive, so a long term goal is to find a better way to implement this, but noting that we have something that works in the meantime.
Key points to consider:
the goal is to estimate delay over a continuous time period, but paired date data does not necessarily cover all of the dates in this period, ie there are gaps in the timeseries where we do not observe paired delays due to missing observation of one of the dates. This means that we necessarily have to interpolate delay distribution between some date ranges.
if we can define a parametric form of the delay distribution, with the distribution parameters as time varying variables, we can learn them from data using a modelling approach. But this relies on very strong assumptions about the shape of delay distributions, which is undesirable.
there may be a way to mix parametric and non parametric densities in an informative way?
need to estimate time-varying delays from paired dates data, current approach is to construct a rolling window for paired date delay data, and then getting cdf over those rolling windows. This is computationally expensive, so a long term goal is to find a better way to implement this, but noting that we have something that works in the meantime.
Key points to consider: